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RVT vs. KOKU
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

RVT vs. KOKU - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Royce Value Trust Inc. (RVT) and Xtrackers MSCI Kokusai Equity ETF (KOKU). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
14.66%
10.29%
RVT
KOKU

Returns By Period

In the year-to-date period, RVT achieves a 19.75% return, which is significantly lower than KOKU's 21.81% return.


RVT

YTD

19.75%

1M

6.74%

6M

14.66%

1Y

33.81%

5Y (annualized)

11.75%

10Y (annualized)

9.87%

KOKU

YTD

21.81%

1M

2.13%

6M

10.29%

1Y

28.52%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


RVTKOKU
Sharpe Ratio1.682.46
Sortino Ratio2.363.34
Omega Ratio1.301.44
Calmar Ratio1.563.60
Martin Ratio9.2516.29
Ulcer Index3.66%1.75%
Daily Std Dev20.14%11.62%
Max Drawdown-72.31%-25.77%
Current Drawdown-2.49%-0.46%

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Correlation

-0.50.00.51.00.8

The correlation between RVT and KOKU is 0.76, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Risk-Adjusted Performance

RVT vs. KOKU - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Royce Value Trust Inc. (RVT) and Xtrackers MSCI Kokusai Equity ETF (KOKU). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for RVT, currently valued at 1.68, compared to the broader market-4.00-2.000.002.004.001.682.46
The chart of Sortino ratio for RVT, currently valued at 2.36, compared to the broader market-4.00-2.000.002.004.002.363.34
The chart of Omega ratio for RVT, currently valued at 1.30, compared to the broader market0.501.001.502.001.301.44
The chart of Calmar ratio for RVT, currently valued at 1.56, compared to the broader market0.002.004.006.001.563.60
The chart of Martin ratio for RVT, currently valued at 9.25, compared to the broader market0.0010.0020.0030.009.2516.29
RVT
KOKU

The current RVT Sharpe Ratio is 1.68, which is lower than the KOKU Sharpe Ratio of 2.46. The chart below compares the historical Sharpe Ratios of RVT and KOKU, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.68
2.46
RVT
KOKU

Dividends

RVT vs. KOKU - Dividend Comparison

RVT's dividend yield for the trailing twelve months is around 6.80%, more than KOKU's 1.54% yield.


TTM20232022202120202019201820172016201520142013
RVT
Royce Value Trust Inc.
6.80%7.35%9.95%8.52%6.44%7.45%10.68%7.17%7.62%10.54%12.70%4.65%
KOKU
Xtrackers MSCI Kokusai Equity ETF
1.54%1.76%1.98%1.89%0.55%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

RVT vs. KOKU - Drawdown Comparison

The maximum RVT drawdown since its inception was -72.31%, which is greater than KOKU's maximum drawdown of -25.77%. Use the drawdown chart below to compare losses from any high point for RVT and KOKU. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.49%
-0.46%
RVT
KOKU

Volatility

RVT vs. KOKU - Volatility Comparison

Royce Value Trust Inc. (RVT) has a higher volatility of 7.78% compared to Xtrackers MSCI Kokusai Equity ETF (KOKU) at 3.22%. This indicates that RVT's price experiences larger fluctuations and is considered to be riskier than KOKU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
7.78%
3.22%
RVT
KOKU